Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 3 4
Score 0.52 -0.49 4.75
Market Cap (Millions USD) 2045.52 1990.64 2046.14
Predicted Beta 1.88 1.89 1.9
Idiosyncratic Volatility 6.06 6.06 6.25

Annualized return and volatility

IYH
Annualized Return 0.0772
Annualized Std Dev 0.1711
Annualized Sharpe (Rf=0%) 0.4515

Row

Daily Return Statistics

IYH
Observations 4996.0000
NAs 118.0000
Minimum -0.0681
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0061
Maximum 0.1035
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0108
Skewness -0.2078
Kurtosis 5.4722

Downside Risk

IYH
Semi Deviation 0.0079
Gain Deviation 0.0072
Loss Deviation 0.0082
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0077
Downside Deviation (0%) 0.0077
Maximum Drawdown 0.4313
Historical VaR (95%) -0.0166
Historical ES (95%) -0.0260
Modified VaR (95%) -0.0168
Modified ES (95%) -0.0290
From Trough To Depth Length To Trough Recovery
2000-12-29 2002-07-23 2007-04-12 -0.4313 1605 396 1209
2007-12-11 2009-03-05 2011-04-01 -0.3855 848 318 530
2015-07-21 2016-02-11 2017-03-15 -0.1930 423 146 277
2011-05-19 2011-08-10 2012-02-01 -0.1815 180 58 122
2018-10-02 2018-12-24 2019-11-12 -0.1641 285 59 226

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYH
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 3.6 -0.1 0.0 1.1 -2.1 0.0 2.6
2001 0.5 -1.2 0.0 0.2 1.7 0.0 -0.4 0.0 1.0 1.3 0.0 0.0 3.0
2002 0.3 1.5 0.2 1.7 0.0 -4.4 -3.2 0.0 2.8 1.2 0.0 0.0 -0.2
2003 0.0 0.0 1.0 0.3 0.0 0.3 -1.6 0.0 1.4 0.0 1.7 0.0 3.1
2004 0.0 0.5 1.0 0.0 0.6 -0.6 0.0 0.3 1.2 -1.1 1.6 0.0 3.5
2005 1.0 1.0 -0.7 0.0 0.5 0.1 0.5 0.2 0.0 -0.2 0.8 0.0 3.3
2006 0.8 0.2 0.0 -0.8 1.5 0.0 -0.2 0.4 0.0 -0.7 0.0 0.0 1.3
2007 0.8 -0.6 0.0 0.4 0.3 0.0 0.9 0.0 0.9 -1.6 0.0 0.0 1.1
2008 1.1 0.0 2.3 1.4 0.0 0.7 -0.8 0.0 0.1 0.0 -6.1 0.0 -1.5
2009 0.0 0.0 -0.1 -0.3 0.6 -0.3 0.0 -1.4 -1.6 0.0 1.3 0.0 -1.9
2010 0.4 1.1 0.5 0.0 -1.1 -1.1 0.0 2.4 0.0 -0.1 1.7 0.0 3.8
2011 1.6 -0.7 0.5 0.0 -1.3 1.3 -1.8 -0.8 0.0 -2.0 0.1 0.0 -3.1
2012 1.1 0.4 0.0 0.3 -1.9 0.0 -0.1 0.0 0.5 0.9 0.0 0.0 1.2
2013 0.9 0.6 0.2 -1.1 0.0 0.5 0.7 0.0 1.4 0.4 0.0 0.0 3.8
2014 0.0 0.0 0.7 0.3 0.0 1.4 -0.1 0.0 -1.0 0.0 -0.3 0.0 1.0
2015 0.0 0.0 -1.2 1.5 0.3 0.9 0.0 -2.7 1.0 0.0 1.6 0.0 1.2
2016 0.3 2.3 1.3 0.0 0.4 0.7 0.7 -0.2 0.0 -0.4 -0.8 0.0 4.3
2017 0.7 1.1 0.0 0.2 1.2 0.0 -0.3 0.0 0.0 0.2 -0.2 0.0 3.0
2018 0.2 -1.6 0.0 0.1 1.1 0.0 0.1 0.0 0.6 1.4 0.0 0.0 1.9
2019 0.1 1.6 0.1 -0.4 0.0 0.6 0.1 0.0 -1.1 0.3 0.0 -0.1 1.3

Row

Rolling Performance Chart

Snail Trail Chart